The role of the amygdala in the experience of emotional states and stress is well established. Connections from the amygdala to the hypothalamus activate the hypothalamic–pituitaryadrenal (HPA) axis and the cortisol response. Previous studies have failed to find consistent whole amygdala volume changes in Major Depressive Disorder (MDD), but differences may exist at the smaller substructural level of the amygdala nuclei. High-resolution T1 and T2-weighted-fluid-attenuated inversion recovery MRIs were compared between 80 patients with MDD and 83 healthy controls (HC) using the automated amygdala substructure module in FreeSurfer 6.0. Volumetric assessments were performed for individual nuclei and three anatomico-functional composite groups of nuclei. Salivary cortisol awakening response (CAR), as a measure of HPA responsivity, was measured in a subset of patients. The right medial nucleus volume was larger in MDD compared to HC (p = 0.002). Increased right-left volume ratios were found in MDD for the whole amygdala (p = 0.004), the laterobasal composite (p = 0.009) and in the central (p = 0.003) and medial (p = 0.014) nuclei. The CAR was not significantly different between MDD and HC. Within the MDD group the left corticoamygdaloid transition area was inversely correlated with the CAR, as measured by area under the curve (AUCg) (p ≤ 0.0001). In conclusion, our study found larger right medial nuclei volumes in MDD compared to HC and relatively increased right compared to left whole and substructure volume ratios in MDD. The results suggest that amygdala substructure volumes may be involved in the pathophysiology of state depression.